Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0052 |
| Annualized Std Dev | 0.0438 |
| Annualized Sharpe (Rf=0%) | 0.1191 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3109.0000 |
| NAs | 1.0000 |
| Minimum | -0.0492 |
| Quartile 1 | -0.0005 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0006 |
| Maximum | 0.0554 |
| SE Mean | 0.0000 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0000 |
| Stdev | 0.0028 |
| Skewness | 0.6608 |
| Kurtosis | 188.2357 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0020 |
| Gain Deviation | 0.0026 |
| Loss Deviation | 0.0027 |
| Downside Deviation (MAR=210%) | 0.0087 |
| Downside Deviation (Rf=0%) | 0.0020 |
| Downside Deviation (0%) | 0.0020 |
| Maximum Drawdown | 0.1172 |
| Historical VaR (95%) | -0.0019 |
| Historical ES (95%) | -0.0049 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | -0.2043 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-01-20 | 2020-03-19 | NA | -0.1172 | 3064 | 2811 | NA |
| 2009-01-14 | 2009-01-14 | 2009-01-16 | -0.0492 | 3 | 1 | 2 |
| 2008-11-24 | 2008-12-01 | 2008-12-22 | -0.0040 | 20 | 5 | 15 |
| 2008-12-29 | 2009-01-02 | 2009-01-06 | -0.0029 | 6 | 4 | 2 |
| 2008-11-12 | 2008-11-12 | 2008-11-14 | -0.0018 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.3 | -0.1 | -0.5 |
| 2009 | 0.7 | 0.4 | 0.5 | 0.7 | -0.3 | -0.1 | 0 | 0.2 | -0.3 | -0.4 | -0.2 | 0.2 | 1.4 |
| 2010 | -0.1 | 0 | -0.1 | 0 | 0.1 | -0.1 | -0.2 | 0 | -0.2 | 0 | -0.2 | -0.2 | -1.1 |
| 2011 | 0 | 0.2 | 0.3 | 0.1 | 0.1 | 0 | 0.3 | 0.1 | 0.1 | 0 | -0.1 | 0 | 1.1 |
| 2012 | -0.1 | -0.1 | -0.2 | 0.2 | 0.1 | 0.1 | -0.4 | -0.1 | -0.1 | 0 | 0 | -0.1 | -0.5 |
| 2013 | 0 | 0 | -0.1 | 0.1 | -0.1 | -0.6 | 0.2 | 0 | -0.1 | 0 | 0 | 0 | -0.5 |
| 2014 | 0 | 0 | -0.2 | -0.1 | -0.2 | 0 | 0 | 0 | 0.1 | 0 | 0 | 0.1 | -0.2 |
| 2015 | 0.2 | -0.2 | 0 | -0.2 | -0.2 | 0 | 0.1 | 0 | -0.1 | 0 | -0.1 | 0 | -0.5 |
| 2016 | 0 | -0.1 | -0.2 | -0.1 | -0.1 | 0 | 0 | -0.1 | 0 | -0.1 | 0 | 0 | -0.7 |
| 2017 | -0.1 | -0.2 | 0 | 0 | -0.1 | 0 | 0 | -0.1 | 0 | -0.1 | 0 | 0 | -0.7 |
| 2018 | -0.1 | -0.1 | 0 | 0.1 | -0.2 | -0.1 | -0.2 | 0 | -0.1 | 0 | 0 | 0.1 | -0.6 |
| 2019 | -0.1 | -0.1 | -0.2 | -0.1 | 0.1 | -0.1 | 0 | 0 | -0.1 | -0.2 | 0 | 0 | -0.8 |
| 2020 | 0 | 0 | -0.7 | 0.1 | -0.1 | -0.2 | 0.1 | 0 | -0.2 | -0.1 | -0.1 | 0.2 | -1 |
| 2021 | 0 | -0.1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-11-07 101. SPY 93.9 0.033 -0.0307 0.0348 -0.282 -0.362 -0.232 -0.118 GLD 72.5 0.0039 0.0163
2 2008-11-10 101. SPY 92.6 -0.0131 -0.0461 0.0467 -0.284 -0.362 -0.242 -0.123 GLD 73.6 0.0149 0.0349
3 2008-11-11 101. SPY 89.8 -0.0309 -0.106 -0.114 -0.302 -0.375 -0.266 -0.146 GLD 72.0 -0.0208 -0.0454
4 2008-11-12 101. SPY 85.8 -0.044 -0.108 -0.140 -0.338 -0.420 -0.304 -0.184 GLD 70 -0.0285 -0.0385
5 2008-11-14 102. SPY 86.6 -0.0499 -0.0771 -0.0763 -0.325 -0.405 -0.300 -0.186 GLD 73.3 0.0159 0.011
6 2008-11-17 102. SPY 85.5 -0.0133 -0.0773 -0.083 -0.327 -0.414 -0.306 -0.190 GLD 72.6 -0.0089 -0.0126
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
